Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimator
The paper examines the price volatility spillovers among the crude oil, soybeans, corn, wheat, and sugar futures markets over the period 1/1/2006-11/29/2013. We separately investigate the periods of the pre-crisis, the crisis, and the post-crisis in financial markets. We use the Yang-Zhang estimator...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Czech Academy of Agricultural Sciences
2015-05-01
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| Series: | Agricultural Economics (AGRICECON) |
| Subjects: | |
| Online Access: | https://agricecon.agriculturejournals.cz/artkey/age-201505-0003_price-volatility-spillovers-among-agricultural-commodity-and-crude-oil-markets-evidence-from-the-range-based-e.php |